The erotic thriller has reportedly been turned down for March's Texas-based event over "quality issues", according to The Hollywood Reporter.
"It's got an ugliness and a deadness to it," a festival insider allegedly said of The Canyons.
The film, directed by Paul Schrader and written by American Psycho's Bret Easton Ellis, also failed to get into the Sundance Film Festival, which is currently being held in Utah.
The Canyons stars Lohan and porn actor James Deen in a story of "sexual obsession and ambition" in contemporary Los Angeles.
[Left: Lindsay Lohan films a scene from The Canyons; Right: Gus Van Sant and James Deen on set]
A recent New York Times article chronicled the film's turbulent production and the troubles the crew experienced working with Lohan.
The first clip from The Canyons emerged last week, showing Lohan's character Tara sneaking around boyfriend Christian's (Deen) apartment while he sleeps.
Watch a trailer for The Canyons below: